The invention relates to a multi-axis differential interferometer (1) for measuring a displacement and/or rotation between a first reflective surface (21, 321) and a second reflective surface (81, 381), wherein said measuring is carried out using at least two pairs of beams, wherein each pair is formed by a measurement beam (Mb) to be emitted onto a first one (21, 321) of said reflective surfaces, and a reference beam (Rb) to be emitted onto another one (81, 381) of said reflective surfaces, said interferometer (1) comprising: a first optical module (20) and a second optical module (40), wherein each optical module (20, 40) is configured for receiving a respective coherent beam and for creating one of said pairs therefrom. The invention further relates to a lithography system comprising such an interferometer and to a method for assembling such a multi-axis differential interferometer.